Transcription of A Tutorial on Multivariate Statistical Analysis
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A Tutorial on Multivariate Statistical Analysis
A Tutorial onMultivariateStatistical AnalysisCraig A. TracyUC DavisSAMSIS eptember 20061 ELEMENTARY STATISTICSC ollection of (real-valued) data from a sequence of experimentsX1,X2,..,XnMight make assumption underlying law isN( , 2) with unknownmean and variance 2. Want to estimate and 2from the Mean & Sample Variance: X=1nXjXj, S=1n 1Xj Xj X 2 Estimators are unbiased E( X) = ,E(S) = 22 Theorem:IfX1,X2,..are independentN( , 2) variables then XandSare independent. We have that XisN( , 2/n) and(n 1)S/ 2is 2(n 1).Recall 2(d) denotes the chi- squared distribution withddegrees offreedom.
Multivariate statistical analysis is concerned with data that consists of sets of measurements on a number of individuals or objects. The sample data may be heights and weights of ... the chi-squared distribution. •A∼Wp(n,Σ) is positive definite with probability one if and only if n≥p. •The sample covariance matrix, S= 1 n−1 A is Wp ...
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